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Document type:
Zeitschriftenaufsatz 
Author(s):
Müller, G., Czado, C. 
Title:
Stochastic volatility models for ordinal valued time series with application to finance 
Abstract:
In this paper we introduce a new class of models, called OSV, by combining an ordinal response model and the idea of stochastic volatility. Corresponding time series occur in high-frequency finance when the stocks are traded on a coarse grid. For parameter estimation we develop an efficient Grouped Move Multigrid Monte Carlo (GM-MGMC) sampler. This sampler is based on a scale transformation group, whose elements operate on the random samples of a certain conditional distribution. Als...    »
 
Keywords:
Grouped move; High-frequency finance; Markov chain Monte Carlo; Multigrid Monte Carlo; Price process; Transformation group 
Journal title:
Statistical Modelling 
Year:
2009 
Journal volume:
Journal issue:
Pages contribution:
69-95 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 09 
Format:
Text